You can't enjoy both sides of a desirable situation; choices often involve sacrifices.
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You can't enjoy two things at once when having one rules out the other.
You have to choose, because you can't keep a thing and use it up at the same time.
It's used when someone wants both options and won't accept the cost of either.
"Have It Both Ways"
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To benefit from two contradictory situations at the same time
"Bite Off More Than You Can Chew"
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To take on more responsibility than you can actually handle
"You Can't Have Your Cake and Eat it Too"
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You must choose — you can't keep two benefits that rule each other out